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Measuring climate-credit risk relationship using world input-output tables

Author

Listed:
  • Henry I. Penikas

    (Bank of Russia, Moscow, Russia)

  • Ekaterina E. Vasilyeva

    (P. N. Lebedev Physical Institute of the Russian Academy of Sciences, Moscow, Russia)

Abstract

The Basel Committee recommended the use of input-output tables to properly measure climate risks. However, the majority of previous studies only limits the use of input-output tables to carbon emissions and this is not applied in climate risk ratings. The existing climate (E) risk ratings (scores) was modified or transformed from Sustainalytics to the full climate risk scores using input-output tables. Positive relationship between credit risks and the full climate risk estimates at the industry level was identified, and this justifies the interest rate discount granted to firms in the green industries. Thus, for the purpose of lending the full degree of greenness derived from input-output tables should be considered, not substituting this by the easily observable and publicly available marginal climate risk ratings like those provided by Sustainalytics.

Suggested Citation

  • Henry I. Penikas & Ekaterina E. Vasilyeva, 2023. "Measuring climate-credit risk relationship using world input-output tables," Russian Journal of Economics, ARPHA Platform, vol. 9(1), pages 93-108, April.
    • Handle: RePEc:arh:jrujec:v:9:y:2023:i:1:p:93-108
    DOI: 10.32609/j.ruje.9.83891
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    References listed on IDEAS

    as
    1. Гранберг А. Г., 2006. "Василий Леонтьев В Мировой И Отечественной Экономической Науке," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 10(3), pages 471-492.
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    More about this item

    Keywords

    climate risk input-output tables WIOD Poisson regression ESG.;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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